A fixed strike lookback option in which the lookback period (partial time- PT) starts at a preset date after the…

It stands for geometric Brownian motion; a process that reflects the time-evolution of an asset price. It is a stochastic...

It stands for currency-protected swap. A cross currency basis swap which doesn’t involve currency conversion. For example, assume short-term interest…

It stands for knock-in swaption. A barrier swaption in which protection exists or activates only if the swap rate crosses…

It stands for put-call-futures parity; the relationship between the prices of calls (call options), puts (put options), and futures (futures…

Generally, it is the effective monetary advantage which would be obtained when an option is immediately exercised. In call options,...

It stands for mortgage over treasury option, which is, by definition, a cash-settled call that is written on the mortgage...

An abbreviation for inflation-indexed floor; an inflation derivative that pays out if inflation (as measured by percentage increase in the…

An abbreviation for inflation-indexed cap; an inflation derivative that pays out if inflation (as measured by percentage increase in the…

It stands for municipal option put security; a municipal fixed income security (e.g., a municipal bond) that comes with a detachable…